Since day one I'd assumed that icon lets us add an FX to just the Preview Monitor such as say the Levels FX, in fact I seem to recall someone (Glenn?) suggesting this as a way to get correct preview in 32bit with HDV. As I just discovered that FX is not what it seems, it's a duplicate of the FX in the Video Buss track header i.e. it will affect the rendered out.
You'd perhaps never realise this unless you enabled Show Video Buss. Maybe I'm missing something but this seems a very dangerous "feature" that would (in my case has) lead a user astray.
Bob.